I too own a 2005 Mandalay and mine has an air powered door lock up in the upper portion of the door frame. From the outside of the coach, with the door open, there is a plate about 8-10 inches long screwed to the door frame on the upper right. There is a hole near the top of that plate, and if you look at the door, you should see a pin, about one inch long by approx half inch diameter that inserts into the hole in the plate when your door us shut. There is an air operated cylinder on the back of the plate that pushes a white plastic wedge against the door pin when I release the parking brake. This keeps the top of the door snug against the frame. The cylinder has 2 air hoses going into it, one at the bottom of it to push the rod and wedge up, and the other at the cylinder top to push it back down when you apply the parking brake.
Never open the door without the parking brake being engaged as you will break the pin off the door. I learned this the hard way and hence my knowledge of the mechanism...
Gary & Johanne
2005 Mandalay 40E & 26ft Enclosed Car Hauler